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Author Canessa, G.; Gallego, J.A.; Ntaimo, L.; Pagnoncelli, B.K.
Title An algorithm for binary linear chance-constrained problems using IIS Type
Year 2019 Publication Computational Optimization And Applications Abbreviated Journal Comput. Optim. Appl.
Volume 72 Issue 3 Pages 589-608
Keywords Chance-constrained programming; Infeasible irreducible subsystems; Integer programming
Abstract We propose an algorithm based on infeasible irreducible subsystems to solve binary linear chance-constrained problems with random technology matrix. By leveraging on the problem structure we are able to generate good quality upper bounds to the optimal value early in the algorithm, and the discrete domain is used to guide us efficiently in the search of solutions. We apply our methodology to individual and joint binary linear chance-constrained problems, demonstrating the ability of our approach to solve those problems. Extensive numerical experiments show that, in some cases, the number of nodes explored by our algorithm is drastically reduced when compared to a commercial solver.
Address [Canessa, Gianpiero] Univ Adolfo Ibanez, Diagonal Torres 2640, Santiago 7941169, Chile, Email: gianpiero.canessa@edu.uai.cl
Corporate Author Thesis
Publisher (down) Springer Place of Publication Editor
Language English Summary Language Original Title
Series Editor Series Title Abbreviated Series Title
Series Volume Series Issue Edition
ISSN 0926-6003 ISBN Medium
Area Expedition Conference
Notes WOS:000463792400003 Approved
Call Number UAI @ eduardo.moreno @ Serial 996
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